Honestly, it wouldn't be a stretch to assume that Thor probably felt a lot of guilt, more so than any of the other Avengers, regarding Coulson's "death" because of how it was Loki who stabbed him when Phil was trying to help Thor, and how Thor was the only one there to see it take place.

I can see after Phil explains what happened to him to Thor, he MAY be alittle ticked with Fury.